The Secondary Market for Hedge Funds and the Closed Hedge Fund Premium

被引：29
|
作者：
Ramadorai, Tarun [1 ]
机构：
[1] Oxford Man Inst Quantitat Finance, Said Business Sch, Oxford, England
来源：
JOURNAL OF FINANCE | 2012年 / 67卷 / 02期
关键词：
INVESTOR SENTIMENT; COSTLY ARBITRAGE; ASSET PRICES; MUTUAL FUNDS; END FUNDS; PERFORMANCE; RISK; DISCOUNTS; LIQUIDITY; OWNERSHIP;
D O I：
10.1111/j.1540-6261.2012.01723.x
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Rational theories of the closed-end fund premium puzzle highlight fund share and asset illiquidity, managerial ability, and fees as important determinants of the premium. Several of these attributes are difficult to measure for mutual funds, and easier to measure for hedge funds. This paper employs new data from a secondary market for hedge funds, discovers a closed-hedge fund premium that is highly correlated with the closed-end mutual fund premium, and shows that the closed-hedge fund premium is well explained by variables suggested by rational theories. Sentiment-based explanations do not find support in the data.
引用
收藏
页码：479 / 512
页数：34
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